Very cool and it looks like we're getting one step closer to what the forex markets look like with their array of tools! Out of curiosity, have you tried running sentiment analysis over your news aggregator? Seems like it could be an interesting project.

Thanks for this and I'll check it out.

Ah, right. I understand now. If that's the case, would it be easier to send the maximum amount available (without slippage) on one exchange to both exchanges?
Ie: exchange 1 has ask price 550 with amount 5, exchange 2 has bid price 600 with amount 10. You then place buy/sell orders for an amount of 5 on both exchanges. Ensuring no slippage.

Out of curiosity do you only examine the order book prices to a depth of 1? Seems like by doing so there'd be a few missed opportunities. However to examine with a depth of two the maths is much more involved.

There are some reviews on google and generally speaking the response has been mixed. I think the general consensus is that the bot works smoothly however could be tweaked a little for consistency of returns.

You can read a blog post here: http://honeybadgerofmoney.com/blackbirdarbbot/

Still it's an amazing idea and can only benefit the community.

Thank you for your reply. You seem very knowledgeable about all this
Could you explain the idea behind "OrderBookFactor"? How does the number have a correlation with the liquidity? If I set it at 3.0, is it 3x the spread, or?

Thank you! I'm probably not ready to start contributing much however I'm learning quite a fair amount and hopefully I'll be able to add something in the future.

Okay, since my last post I've had a bit of a think about this, and there are a few things I'd like to clear up - and also a few ideas I'd like to suggest.
Thank you very much for bearing with me for the following noobish questions.

1) What is your method for quantifying liquidity?
1a) Do you check for the bid/ask spread within an exchange?  If this is the case isn't this counter intuitive, since the more illiquid the market the more volatile it is? How then do you strike a balance between liquidity risk and potential volatility profits?

1b) A way to ensure 0% liquidity risk that I can see is by buying at the lowest ask price at Exchange 1 and selling at the highest bid price at Exchange 2. Of course this is a smaller spread, but if the markets are as volatile as they've been in the past few days then there should be a few opportunities.

2) For exchanges that offer short-selling/margin-trading but with no API to do so, have you considered pure web automation, with something like Selenium?  Of course this would be much slower than an API call. However if your polling timeframe is 5 seconds then generally speaking using a web automation framework would be well within those bounds.

Thank you!

Hi!

Interesting project. Have you considered adding checks for triangular arbitrage opportunities? For example, coincheck.jp offers margin trading (so does okcoin.cn for that matter) meaning that the bot could work for a triangular arbitrage between JPY/BTC/USD or CNY/BTC/USD. Also opens up plenty more exchanges.

The only forseeable problem is that you'd have to find a reliable website to convert USD<->JPY/CNY for the initial deposit into the balance, but that shouldn't be a problem considering the wealth of money exchange platforms out there (OFX, TransferWise, etc.)

Anyway, seriously interesting venture and I'll keep checking back on this.